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Qusayr 'Amra, Jordan. It's the best preserved of the desert castles (and a UNESCO World Heritage site), and was built as a bathhouse for travelling caravans. It has separate hot, warm and cold rooms, an elevated water-tank, a masonry-lined deep well, and an apparatus for drawing water from the well into the water-tank. Pretty amazing, as it was built sometime between 661-750 AD. I found the desert castles interesting because there's nothing around them for miles and miles and miles - they're just a stop on the road, a resting-place for travellers.